PhD in Quantum Physics from Stellenbosch University - 2015
Applications:
Performance=Skill×√Breadth
How do we place the bets?
Two extremes:
The same expected return:
Totally different risk to loose it all:
Another way to look at risk is to use standard deviation of returns
risk:=std{1,−1,−1,1,…,1}=1
risk:=std{1000,0,0,0,…,0}=31.62risk:=std{−1000,0,0,0,…,0}=31.62
Risk Adjusted Returns (Sharpe Ratio):
We rewrite the risk adjusted return as:
All of these add to the breadth of opportunities.
Testing phase:
Aim of the strategy:
We define p as the ratio of the Front to the Deferred price p:=Front/Deferred
From a fundamental point of view we
For every month of the year we have a list of
Meta-labeling: ML Technique to determine probability of the spread ending in the money
Size positions according to the
Time Window Analysis:
Drawdown Report:
Aim of the strategy:
Essence: Cap your losses and let the winners run
Build the strategy on fake data:
Why is this preferred:
Time Window Analysis:
Drawdown Report:
You Can’t Always Trend When You Want - AQR
Breaking Bad Trends - Garg, Goulding, Harvey and Mazzoleni
Time Window Analysis:
Drawdown Report: